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本期主要包括三篇来自国际顶级刊物Journal of Financial Economics的论文，具体如下： 1.Providing liquidity in an illiquid market: Dealer behavior in US corporate bonds Journal of Financial Economics Volume 135, Issue 1 January 2020, Pages 16-40 Michael A. Goldstein Babson College Edith S. Hotchkiss Boston College We examine market making behavior of dealers for 55,988 corporate bonds, many of which trade infrequently. Dealers have a substantially higher propensity to offset trades within the same day rather than committing capital for longer periods for riskier and less actively traded bonds. Dealers’ holding periods do not decline with a bond's prior trading activity and in fact are lowest for some of the least active bonds. As a result, cross-sectional estimates of roundtrip trading costs do not increase as prior trading activity declines. Our results suggest that dealers endogenously adjust their behavior to mitigate inventory risk from trading in illiquid and higher risk securities, balancing search and inventory costs in equilibrium such that observed spreads can appear invariant to expected liquidity. https://www./science/article/pii/S0304405X19301394 2.The job rating game: Revolving doors and analyst incentives Journal of Financial Economics Volume 135, Issue 1 January 2020, Pages 41-67 Elisabeth Kempf University of Chicago Investment banks frequently hire analysts from rating agencies. While many argue that this “revolving door” creates captured analysts, it can also create incentives to improve accuracy. To study this issue, I construct an original data set, linking analysts to their career paths and the securitized finance ratings they issue. First, I show that accurate analysts are more frequently hired by underwriting investment banks. Second, I exploit two distinct sources of variation in the likelihood of being hired by a bank. Both indicate that, as this likelihood rises, analyst accuracy improves. The findings suggest policymakers should consider incentive effects alongside capture concerns. 链接地址： https://www./science/article/pii/S0304405X19301370 3.Idea sharing and the performance of mutual funds Journal of Financial Economics Volume 135, Issue 1 January 2020, Pages 88-119 Julien Cujean University of Bern I develop an equilibrium model to explain why few mutual fund managers consistently outperform, even though many have strong informational advantages. The key ingredient is that managers obtain investment ideas through idea sharing. Idea sharing improves statistical significance of alpha through increased price informativeness. But it also causes better informed managers to take larger positions, which makes their alpha noisier—although a significant fraction of managers builds strong informational advantages, statistical significance and persistence of alpha concentrate in underperforming funds. I argue that in-house development of ideas cannot explain these facts. https://www./science/article/pii/S0304405X19301400 |
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